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Dec/Mar Roll Update: Fast And Furious

US TSY FUTURES

Volume surged this week, position holders scrambling to roll from Dec to Mar with shortened Thanksgiving holiday work week ahead Nov 30 "first notice". Dec futures won't expire until mid-late December: 10s, 30s and Ultras on 12/21; 2s & 5s 12/31.

  • TUZ/TUH appr 224,500 0.25 last; 48% complete
  • FVZ/FVH appr 246,800 -10.25 last; 50% complete
  • TYZ/TYH appr 437,300 12.50 last; 50% complete
  • UXYZ/UXYH appr 84,200, 18.75 last; 48% complete
  • USZ/USH appr 56,800, -1-10 last; 48% complete
  • WNZ/WNH appr 23,900, 1-21 last; 43% complete

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